Weighted uniform consistency of kernel density estimators.
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Publication:1889792
Abstract: Let f_n denote a kernel density estimator of a continuous density f in d dimensions, bounded and positive. Let Psi(t) be a positive continuous function such that |Psi f^{�eta}|_{infty}<infty for some 0<�eta<1/2. Under natural smoothness conditions, necessary and sufficient conditions for the sequence sqrtfrac{nh_n^d}{2|log h_n^d|}|Psi(t)(f_n(t)-Ef_n(t))|_{infty} to be stochastically bounded and to converge a.s. to a constant are obtained. Also, the case of larger values of �eta is studied where a similar sequence with a different norming converges a.s. either to 0 or to +infty, depending on convergence or divergence of a certain integral involving the tail probabilities of Psi(X). The results apply as well to some discontinuous not strictly positive densities.
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